Considerations on Partially Identified Regression Models

41 Pages Posted: 12 Apr 2012 Last revised: 17 Apr 2012

See all articles by Daniel Cerquera

Daniel Cerquera

ZEW – Leibniz Centre for European Economic Research

Francois Laisney

ZEW – Leibniz Centre for European Economic Research

Hannes Ullrich

University of Copenhagen - Department of Economics; German Institute for Economic Research (DIW Berlin) - Innovation, Management, Service

Multiple version iconThere are 2 versions of this paper

Date Written: March 1, 2012

Abstract

Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we offer several contributions. Manski and Tamer (2002) propose two estimation approaches in this context, focusing on general results. The modified minimum distance (MMD) estimates the true identified set and the modified method of moments (MMM) a superset. Our first contribution is to characterize the true identified set and the superset. Second, we complete and extend the Monte Carlo study of Manski and Tamer (2002). We present benchmark results using the exact functional form for the expectation of the dependent variable conditional on observables to compare with results using its nonparametric estimates, and illustrate the superiority of MMD over MMM. For MMD, we propose a simple shortcut for estimation.

Keywords: partial identification, true identified set, superset, MMD, MMM, estimation

JEL Classification: C01, C13, C40

Suggested Citation

Cerquera, Daniel and Laisney, Francois and Ullrich, Hannes, Considerations on Partially Identified Regression Models (March 1, 2012). ZEW - Centre for European Economic Research Discussion Paper No. 12-024, Available at SSRN: https://ssrn.com/abstract=2038403 or http://dx.doi.org/10.2139/ssrn.2038403

Daniel Cerquera (Contact Author)

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

Francois Laisney

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

Hannes Ullrich

University of Copenhagen - Department of Economics ( email )

Øster Farimagsgade 5, Bygn 26
Copenhagen, 1353
Denmark

German Institute for Economic Research (DIW Berlin) - Innovation, Management, Service ( email )

Mohrenstraße 58
Berlin, 10117
Germany
+493089789521 (Phone)

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